Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0071
Annualized Std Dev 0.1501
Annualized Sharpe (Rf=0%) -0.0473

Row

Daily Return Statistics

Close
Observations 5588.0000
NAs 1.0000
Minimum -0.1144
Quartile 1 -0.0035
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0040
Maximum 0.1515
SE Mean 0.0001
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0003
Variance 0.0001
Stdev 0.0095
Skewness 0.3323
Kurtosis 37.5324

Downside Risk

Close
Semi Deviation 0.0068
Gain Deviation 0.0075
Loss Deviation 0.0081
Downside Deviation (MAR=210%) 0.0118
Downside Deviation (Rf=0%) 0.0068
Downside Deviation (0%) 0.0068
Maximum Drawdown 0.5392
Historical VaR (95%) -0.0122
Historical ES (95%) -0.0221
Modified VaR (95%) -0.0075
Modified ES (95%) -0.0075
From Trough To Depth Length To Trough Recovery
1999-01-12 2008-10-10 2012-11-29 -0.5392 3494 2453 1041
2012-12-07 2020-03-23 NA -0.3521 2085 1834 NA
1999-01-05 1999-01-05 1999-01-06 -0.0039 2 1 1
2012-12-04 2012-12-04 2012-12-06 -0.0031 3 1 2

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 -0.4 0.4 0 -0.8 -1.3 -0.4 0.9 0 0 0 -0.3 1.1 -0.8
2000 0.3 -0.5 1.6 -0.5 1.5 1.5 0 -0.5 -0.5 1.5 1.4 1.4 7.4
2001 -1.2 0.5 1.1 -0.1 0.3 0.1 -0.1 0.5 0.8 0.9 -0.3 0.3 2.9
2002 -0.1 0 0.3 0.6 0.8 1.2 0.9 0.6 -0.3 0 0.1 0.9 5.1
2003 0.3 0 0.3 0.4 0.2 0.5 0.2 0.6 0.3 0.1 -0.3 0.5 3.1
2004 0.4 0.5 -0.1 1.3 -0.8 1.2 0.9 -0.2 -0.1 0.2 0.6 0.6 4.8
2005 0.1 0.2 0.8 0.2 0.3 0.1 -0.9 0.9 0.3 0 -0.3 0 1.8
2006 0.5 -0.7 -0.2 -0.6 0.4 0.7 0.1 0.8 0 0.7 1.4 0.6 3.8
2007 0.3 0.3 -0.1 -0.3 -0.3 0.4 0.1 -0.2 0.1 0.1 0.2 0.3 0.9
2008 -0.1 -1.8 0.4 0.4 -0.9 0.7 0 0.3 -0.1 -2.9 -1.2 1.6 -3.6
2009 -3.3 -0.1 1.5 0.9 -0.8 1.1 0.5 0.1 0.2 -1.4 0.6 0 -0.9
2010 -0.1 -0.3 -0.3 0.2 -0.3 -0.2 0 0 -0.2 0.9 -2 1.5 -0.8
2011 0.5 0.7 0.5 0.5 0 0.6 1.8 -0.6 0.5 0.4 0.4 0.3 5.8
2012 0.7 -0.2 -0.1 0.5 -0.3 0.9 -0.9 -0.2 0.2 0.1 0.7 0.1 1.4
2013 -0.2 0.1 -0.3 0.6 -2.2 0.9 -1.2 -0.2 0 -1.3 0.2 0.5 -3.2
2014 1.2 -0.2 -0.1 0.1 -0.4 0 0.9 -0.1 0.6 -0.4 0.1 -0.6 1.3
2015 0.3 0.6 -0.1 -1 1.1 -0.5 0.9 0.4 0.2 0.7 0.3 0.7 3.6
2016 0.5 -0.1 0.4 0.5 1.1 0.1 -0.2 0 0.1 0.6 -0.9 0.5 2.5
2017 -0.8 -0.4 -0.3 0.8 0.6 0.1 0.5 0.3 -0.1 0.5 0.4 -0.4 1.3
2018 0.4 -0.4 0.6 0.4 -0.1 0.2 0.1 0.2 -0.2 -0.3 -0.2 0.4 1
2019 0.3 0.2 -0.1 0.5 0.5 -0.4 0.4 0.1 -0.1 0 0.4 -0.1 1.5
2020 0.4 -0.5 -3.1 0.9 0.2 0.5 0.8 0.3 0.1 0.8 0.1 1.3 1.9
2021 0.3 0.1 -0.4 NA NA NA NA NA NA NA NA NA 0.1

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Price Chart

Row

Rolling Performance Chart

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Snail Trail Chart